The Gunners were stunned by Blackburn Rovers on Saturday in the FA Cup, slipping to their first defeat in the competition at the hands of a Football League side since Wenger took charge in 1996.
He told the club's official website: "It is vital for us to fight for silverware. Unfortunately [the FA Cup] will not happen for us now and we can only look at ourselves and not complain about anything else.
"We have to come out with a strong response on Tuesday. First you have to rebuild the confidence because we are not playing against Blackburn in midweek. We play Bayern Munich so a lot of confidence will be needed.
"The players are really hurting but you have to take it on the chin and come back with a strong response. That's all we can do."
Wenger's side go up against a Bayern team on Tuesday that have lost just once in 22 league games this season.